VWAP and MA Mean Reversion Strategy with ATR Stop Loss

14 ore fa

//version=5
strategy("VWAP and MA Mean Reversion Strategy with ATR Stop Loss", overlay=true)
// Inputs
length = input(14, "MA Length")
atrLength = input(14, "ATR Length")
atrMultiplier = input(1.5, title="ATR Multiplier for Stop Loss")
// Calculate VWAP, Moving Average, and ATR
vwap = ta.vwap(hlc3)
ma = ta.sma(close, length)
atr = ta.atr(atrLength)
// Buy condition: Price is below VWAP but above MA
longCondition = close < vwap and close > ma
if (longCondition)
strategy.entry("Buy", strategy.long)
stopPrice = close - atrMultiplier * atr
strategy.exit("Long Stop Loss", "Buy", stop=stopPrice)
// Sell condition: Price is above VWAP but below MA
shortCondition = close > vwap and close < ma
if (shortCondition)
strategy.entry("Sell", strategy.short)
stopPrice = close + atrMultiplier * atr
strategy.exit("Short Stop Loss", "Sell", stop=stopPrice)
// Plotting
plot(vwap, title="VWAP", color=color.blue)
plot(ma, title="MA", color=color.orange)